add set_defaulted/clear_defaulted methods

1 files changed, 54 insertions, 0 deletions

diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx
index 367000b..b4a5277 100644
--- a/pyisda/credit_index.pyx
+++ b/pyisda/credit_index.pyx
@@ -168,6 +168,60 @@ cdef class CurveList:
             j += 1
         return out
 
+    def set_defaulted(self, list names):
+        cdef:
+            char[128] buf
+            CurveName cn
+            map[CurveName, size_t].iterator got
+            pair[CurveName, size_t] p
+            size_t i
+            DocClause doc_clause
+            Seniority sen
+            ticker
+
+        for (ticker, sen, doc_clause) in names:
+            buf[0] = <char>sen
+            buf[1] = <char>doc_clause
+            strcpy(&buf[2], <char*>ticker)
+            cn = CurveName(buf)
+            got = self.names.find(cn)
+            if got == self.names.end():
+                raise KeyError((ticker, sen, doc_clause))
+            else:
+                p = deref(got)
+                cn, i = p.first, p.second
+                cn.defaulted()[0] = self.base_date
+                self.defaulted_weight += self._weights[i]
+
+    def clear_defaulted(self, list names=None):
+        cdef:
+            char[128] buf
+            CurveName cn
+            map[CurveName, size_t].iterator got
+            pair[CurveName, size_t] p
+            size_t i
+            DocClause doc_clause
+            Seniority sen
+
+        if names is None:
+            for p in self.names:
+                p.first.defaulted()[0] = -1
+            self.defaulted_weight = 0.0
+        else:
+            for (ticker, sen, doc_clause) in names:
+                buf[0] = <char>sen
+                buf[1] = <char>doc_clause
+                strcpy(&buf[2], <char*>ticker)
+                cn = CurveName(buf)
+                got = self.names.find(cn)
+                if got == self.names.end():
+                    raise KeyError((ticker, sen, doc_clause))
+                else:
+                    cn, i = deref(got).first, deref(got).second
+                    if deref(cn.defaulted()) != -1:
+                        cn.defaulted()[0] = -1
+                        self.defaulted_weight -= self._weights[i]
+
     @weights.setter
     def weights(self, double[::1] val):
         if val.shape[0] != self._weights.size():